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Provides an insight into the landscape of portfolio optimization. This work highlights a global view of common optimization issues. It emphasizes the research and market challenges of optimization software while avoiding sales pitches.
List of contents
Optimizing Optimization
Stephen Satchell
Section 1: Practitioners and Products
1. Robust Portfolio Optimization Using Second Order Cone Programming
Fiona Kolbert and Laurence Wormald
2. Novel Approaches to Portfolio Construction: Multiple Risk Models and Multi-Solution Generation
Sebastian Ceria, Francis Margot, Anthony Renshaw, and Anureet Saxena
3. Bitter Lessons Learned from Practical Optimization or A Holding Hand Through the Dark Valley of Infeasibility
Daryl Roxburgh, Katja Scherer, and Tim Matthews
4. The Windham Portfolio Advisor
Mark Kritzman
Section 2: Theory
5. Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed Distributions
Amira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi
6. Staying Ahead on Downside Risk
Giuliano De Rossi
7. Optimization and Portfolio Selection
Hal Forsey and Frank Sortino
8. Computing Optimal Mean/Downside Risk Frontiers: the Role of Ellipticity
A.D. Hall and Stephen Satchell
9. Portfolio Optimization with 'Threshold Accepting': A Practical Guide
Manfred Gilli and Enrico Schumann
10. Some Properties Averaging Simulated Optimization Methods
J. Knight and Stephen Satchell
11. Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of Distributions
Richard Louth
12. More Than You Ever Wanted to Know about Conditional Value at Risk-Optimization
Bernd Scherer
